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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2017

Assets and Liabilities Measured at Fair Value on a Recurring Basis


Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following tables summarize assets and liabilities measured at fair value on a recurring basis as of:

	Fair Value Measurements Using
December 31, 2017 ($ in millions)		Level 1^(c)	Level 2^(c)	Level 3	Total Fair Value
Assets:
Available-for-sale and other securities:
U.S. Treasury and federal agencies securities	$	98	-	-	98
Obligations of states and political subdivisions securities		-	44	-	44
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	15,319	-	15,319
Agency commercial mortgage-backed securities		-	10,167	-	10,167
Non-agency commercial mortgage-backed securities		-	3,293	-	3,293
Asset-backed securities and other debt securities		-	2,218	-	2,218
Equity securities^(a)		68	1	-	69
Available-for-sale and other securities^(a)		166	31,042	-	31,208
Trading securities:
U.S. Treasury and federal agencies securities		1	11	-	12
Obligations of states and political subdivisions securities		-	22	-	22
Mortgage-backed securities:
Residential mortgage-backed securities		-	395	-	395
Asset-backed securities and other debt securities		-	63	-	63
Equity securities		370	-	-	370
Trading securities		371	491	-	862
Residential mortgage loans held for sale		-	399	-	399
Residential mortgage loans^(b)		-	-	137	137
MSRs^(f)		-	-	858	858
Derivative assets:
Interest rate contracts		1	505	8	514
Foreign exchange contracts		-	124	-	124
Equity contracts		-	20	-	20
Commodity contracts		39	126	-	165
Derivative assets^(d)		40	775	8	823
Total assets	$	577	32,707	1,003	34,287
Liabilities:
Derivative liabilities:
Interest rate contracts	$	1	172	5	178
Foreign exchange contracts		-	120	-	120
Equity contracts		-	-	137	137
Commodity contracts		38	129	-	167
Derivative liabilities^(e)		39	421	142	602
Short positions^(e)		25	6	-	31
Total liabilities	$	64	427	142	633

Excludes FHLB, FRB and DTCC restricted stock holdings totaling $248, $362 and $2, respectively, at December 31, 2017.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During the year ended December 31, 2017, no assets or liabilities were transferred between Level 1 and Level 2.
Included in other assets in the Consolidated Balance Sheets.
Included in other liabilities in the Consolidated Balance Sheets.

	Fair Value Measurements Using
December 31, 2016 ($ in millions)		Level 1^(c)	Level 2^(c)	Level 3	Total Fair Value
Assets:
Available-for-sale and other securities:
U.S. Treasury and federal agencies securities	$	471	78	-	549
Obligations of states and political subdivisions securities		-	45	-	45
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	15,608	-	15,608
Agency commercial mortgage-backed securities		-	9,055	-	9,055
Non-agency commercial mortgage-backed securities		-	3,112	-	3,112
Asset-backed securities and other debt securities		-	2,116	-	2,116
Equity securities^(a)		90	1	-	91
Available-for-sale and other securities^(a)		561	30,015	-	30,576
Trading securities:
U.S. Treasury and federal agencies securities		-	23	-	23
Obligations of states and political subdivisions securities		-	39	-	39
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	8	-	8
Asset-backed securities and other debt securities		-	15	-	15
Equity securities		325	-	-	325
Trading securities		325	85	-	410
Residential mortgage loans held for sale		-	686	-	686
Residential mortgage loans^(b)		-	-	143	143
Derivative assets:
Interest rate contracts		20	715	13	748
Foreign exchange contracts		-	202	-	202
Commodity contracts		22	85	-	107
Derivative assets^(d)		42	1,002	13	1,057
Total assets	$	928	31,788	156	32,872
Liabilities:
Derivative liabilities:
Interest rate contracts	$	3	257	5	265
Foreign exchange contracts		-	204	-	204
Equity contracts		-	-	91	91
Commodity contracts		27	79	-	106
Derivative liabilities^(e)		30	540	96	666
Short positions^(e)		17	4	-	21
Total liabilities	$	47	544	96	687

Excludes FHLB, FRB and DTCC restricted stock holdings totaling $248, $358 and $1, respectively, at December 31, 2016.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During the year ended December 31, 2016, no assets or liabilities were transferred between Level 1 and Level 2.
Included in other assets in the Consolidated Balance Sheets.
Included in other liabilities in the Consolidated Balance Sheets.

Effective January 1, 2017, the Bancorp has elected the fair value measurement method for all existing classes of its residential mortgage servicing rights. The servicing rights were measured at fair value at December 31, 2017 and were measured under the amortization method at December 31, 2016.

Reconciliation of Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)

The following tables are a reconciliation of assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3):

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Residential		Interest Rate
		Mortgage		Derivatives,	Equity	Total
For the year ended December 31, 2017 ($ in millions)		Loans	MSRs^(d)	Net^(a)	Derivatives	Fair Value
Balance, beginning of period	$	143	744	8	(91)		804
Total (losses) gains (realized/unrealized):
Included in earnings		1	(122)	94	(80)		(107)
Purchases/originations		-	236	(2)	-		234
Settlements		(23)	-	(97)	34		(86)
Transfers into Level 3^(b)		16	-	-	-		16
Balance, end of period	$	137	858	3	(137)		861
The amount of total (losses) gains for the period
included in earnings attributable to the change in
unrealized gains or losses relating to instruments
still held at December 31, 2017^(c)	$	1	(122)	10	(80)		(191)

Net interest rate derivatives include derivative assets and liabilities of $8 and $5, respectively, as of December 31, 2017.
Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.
Includes interest income and expense.

Effective January 1, 2017, the Bancorp has elected the fair value measurement method for all existing classes of its residential mortgage servicing rights. The servicing rights were measured at fair value at December 31, 2017 and were measured under the amortization method at December 31, 2016.


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Residential	Interest Rate	Equity
		Mortgage	Derivatives,	Derivatives,	Total
For the year ended December 31, 2016 ($ in millions)		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	167	12	201	380
Total gains (losses) (realized/unrealized):
Included in earnings		(2)	115	17	130
Purchases		-	(3)	-	(3)
Sale and exercise of warrant		-	-	(334)	(334)
Settlements		(40)	(116)	25	(131)
Transfers into Level 3^(b)		18	-	-	18
Balance, end of period	$	143	8	(91)	60
The amount of total (losses) gains for the period
included in earnings attributable to the change in
unrealized gains or losses relating to instruments
still held at December 31, 2016^(c)	$	(2)	13	(56)	(45)

Net interest rate derivatives include derivative assets and liabilities of $13 and $5, respectively, as of December 31, 2016. Net equity derivatives include derivative assets and liabilities of $0 and $91, respectively, as of December 31, 2016.
Includes certain residential mortgage loans held for sale that were transferred to held for investment.
Includes interest income and expense.


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Residential	Interest Rate	Equity
		Mortgage	Derivatives,	Derivatives,	Total
For the year ended December 31, 2015 ($ in millions)		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	108	10	366	484
Total gains (realized/unrealized):
Included in earnings		-	111	288	399
Purchases		-	(2)	-	(2)
Sales and exercise of warrant		-	-	(477)	(477)
Settlements		(28)	(107)	24	(111)
Transfers into Level 3^(b)		87	-	-	87
Balance, end of period	$	167	12	201	380
The amount of total gains for the period
included in earnings attributable to the change in
unrealized gains or losses relating to instruments
still held at December 31, 2015^(c)	$	-	17	66	83

Net interest rate derivatives include derivative assets and liabilities of $15 and $3, respectively, as of December 31, 2015. Net equity derivatives include derivative assets and liabilities of $262 and $61, respectively, as of December 31, 2015.
Includes certain residential mortgage loans held for sale that were transferred to held for investment.
Includes interest income and expense.

Total Gains and Losses Included in Earnings for Assets and Liabilites Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)

The total gains and losses included in earnings for assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) were recorded in the Consolidated Statements of Income for the years ended December 31, 2017, 2016 and 2015 as follows:

($ in millions)		2017	2016	2015
Mortgage banking net revenue	$	(29)	112	110
Corporate banking revenue		2	1	1
Other noninterest income		(80)	17	288
Total (losses) gains	$	(107)	130	399

The total gains and losses included in earnings attributable to changes in unrealized gains and losses related to Level 3 assets and liabilities still held at December 31, 2017, 2016 and 2015 were recorded in the Consolidated Statements of Income as follows:

($ in millions)		2017	2016	2015
Mortgage banking net revenue	$	(113)	10	16
Corporate banking revenue		2	1	1
Other noninterest income		(80)	(56)	66
Total (losses) gains	$	(191)	(45)	83

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

The following tables provide the fair value hierarchy and carrying amount of all assets that were held as of December 31, 2017 and 2016 and for which a nonrecurring fair value adjustment was recorded during the years ended December 31, 2017 and 2016, and the related gains and losses from fair value adjustments on assets sold during the period as well as assets still held as of the end of the period.

		Fair Value Measurements Using				Total Losses
As of December 31, 2017 ($ in millions)		Level 1	Level 2	Level 3	Total	For the year ended December 31, 2017
Commercial loans held for sale	$	-	-	1	1	(33)
Commercial and industrial loans		-	-	327	327	(99)
Commercial mortgage loans		-	-	19	19	(12)
Commercial leases		-	-	4	4	(6)
OREO		-	-	27	27	(10)
Bank premises and equipment		-	-	24	24	(6)
Operating lease equipment		-	-	60	60	(42)
Private equity investments		-	-	8	8	(1)
Affordable housing investments		-	-	1,178	1,178	(68)
Total	$	-	-	1,648	1,648	(277)


		Fair Value Measurements Using				Total (Losses) Gains
As of December 31, 2016 ($ in millions)		Level 1	Level 2	Level 3	Total	For the year ended December 31, 2016
Commercial loans held for sale	$	-	-	5	5	(32)
Commercial and industrial loans		-	-	412	412	(166)
Commercial mortgage loans		-	-	15	15	(4)
Commercial construction loans		-	-	-	-	2
Commercial leases		-	-	3	3	(3)
MSRs^(a)		-	-	744	744	7
OREO		-	-	42	42	(17)
Bank premises and equipment		-	-	28	28	(31)
Operating lease equipment		-	-	37	37	(9)
Private equity investments				60	60	(9)
Total	$	-	-	1,346	1,346	(262)

Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Inputs

The following tables present information as of December 31, 2017 and 2016 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured at fair value on a recurring basis:

As of December 31, 2017 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	137	Loss rate model	Interest rate risk factor	(10.6) - 14.5%	3.1%
				Credit risk factor	0 - 52.1%	1.4%
MSRs		858	Discounted cash flow	Prepayment speed	0 - 98.1%	(Fixed) 11.4%(Adjustable) 24.6%
				OAS spread (bps)	450 - 1,515	(Fixed) 549(Adjustable) 785
IRLCs, net		8	Discounted cash flow	Loan closing rates	12.5 - 97.7%	71.8%
Swap associated with the sale of Visa, Inc.		(137)	Discounted cash flow	Timing of the resolution	12/31/2020 -	8/15/2021
Class B Shares				of the Covered Litigation	12/31/2023


As of December 31, 2016 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	143	Loss rate model	Interest rate risk factor	(11.5) - 13.8%	2.3%
				Credit risk factor	0 - 75.6%	1.4%
IRLCs, net		12	Discounted cash flow	Loan closing rates	23.8 - 99.5%	76.8%
Swap associated with the sale of Visa, Inc.		(91)	Discounted cash flow	Timing of the resolution	12/31/2018 -	8/24/2020
Class B Shares				of the Covered Litigation	12/31/2022

The following tables present information as of December 31, 2017 and 2016 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured on a nonrecurring basis:

As of December 31, 2017 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	1	Appraised value	Appraised value	NM	NM
				Costs to sell	NM	10.0%
Commercial and industrial loans		327	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		19	Appraised value	Collateral value	NM	NM
Commercial leases		4	Appraised value	Collateral value	NM	NM
OREO		27	Appraised value	Appraised value	NM	NM
Bank premises and equipment		24	Appraised value	Appraised value	NM	NM
Operating lease equipment		60	Appraised value	Appraised value	NM	NM
Private equity investments		8	Liquidity discount applied	Liquidity discount	2.5 - 15.0%	5.8%
			to fund's net asset value
Affordable housing investments		1,178	Appraised value	Appraised value	NM	NM

As of December 31, 2016 ($ in millions)
				Significant Unobservable	Ranges of
Financial Instrument		Fair Value	Valuation Technique	Inputs	Inputs	Weighted-Average
Commercial loans held for sale	$	5	Appraised value	Appraised value	NM	NM
Commercial and industrial loans		412	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		15	Appraised value	Collateral value	NM	NM
Commercial construction loans		-	Appraised value	Collateral value	NM	NM
Commercial leases		3	Appraised value	Appraised value	NM	NM
MSRs		744	Discounted cash flow	Prepayment speed	0.7 - 100%	(Fixed) 10.2%(Adjustable) 25.3%
				OAS spread (bps)	100 - 1,515	(Fixed) 654(Adjustable) 738
OREO		42	Appraised value	Appraised value	NM	NM
Bank premises and equipment		28	Appraised value	Appraised value	NM	NM
Operating lease equipment		37	Appraised value	Appraised value	NM	NM
Private equity investments		60	Liquidity discount applied	Liquidity discount	5.0 - 37.5%	12.8%
			to fund's net asset value

Difference Between the Aggregate Fair Value and the Aggregate Unpaid Principal Balance for Residential Mortgage Loans Measured at Fair Value


The following table summarizes the difference between the fair value and the unpaid principal balance for residential mortgage loans measured at fair value as of:

		Aggregate	Aggregate Unpaid
($ in millions)		Fair Value	Principal Balance	Difference
December 31, 2017
Residential mortgage loans measured at fair value	$	536	522	14
Past due loans of 90 days or more		5	5	-
Nonaccrual loans		1	1	-
December 31, 2016
Residential mortgage loans measured at fair value	$	829	823	6
Past due loans of 90 days or more		2	2	-
Nonaccrual loans		1	1	-

Carrying Amounts and Estimated Fair Values for Certain Financial Instruments

The following tables summarize the carrying amounts and estimated fair values for certain financial instruments, excluding financial instruments measured at fair value on a recurring basis:

		Net Carrying	Fair Value Measurements Using			Total
As of December 31, 2017 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,514	2,514	-	-	2,514
Other securities		612	-	612	-	612
Held-to-maturity securities		24	-	-	24	24
Other short-term investments		2,753	2,753	-	-	2,753
Loans and leases held for sale		93	-	-	93	93
Portfolio loans and leases:
Commercial and industrial loans		40,519	-	-	41,718	41,718
Commercial mortgage loans		6,539	-	-	6,490	6,490
Commercial construction loans		4,530	-	-	4,560	4,560
Commercial leases		4,054	-	-	3,705	3,705
Residential mortgage loans		15,365	-	-	15,996	15,996
Home equity		6,968	-	-	7,410	7,410
Automobile loans		9,074	-	-	8,832	8,832
Credit card		2,182	-	-	2,616	2,616
Other consumer loans		1,526	-	-	1,621	1,621
Unallocated ALLL		(120)	-	-	-	-
Total portfolio loans and leases, net	$	90,637	-	-	92,948	92,948
Financial liabilities:
Deposits	$	103,162	-	103,123	-	103,123
Federal funds purchased		174	174	-	-	174
Other short-term borrowings		4,012	-	4,012	-	4,012
Long-term debt		14,904	15,045	529	-	15,574


		Net Carrying	Fair Value Measurements Using			Total
As of December 31, 2016 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,392	2,392	-	-	2,392
Other securities		607	-	607	-	607
Held-to-maturity securities		26	-	-	26	26
Other short-term investments		2,754	2,754	-	-	2,754
Loans and leases held for sale		65	-	-	65	65
Portfolio loans and leases:
Commercial and industrial loans		40,958	-	-	41,976	41,976
Commercial mortgage loans		6,817	-	-	6,735	6,735
Commercial construction loans		3,887	-	-	3,853	3,853
Commercial leases		3,959	-	-	3,651	3,651
Residential mortgage loans		14,812	-	-	15,415	15,415
Home equity		7,637	-	-	8,421	8,421
Automobile loans		9,941	-	-	9,640	9,640
Credit card		2,135	-	-	2,503	2,503
Other consumer loans		668	-	-	678	678
Unallocated ALLL		(112)	-	-	-	-
Total portfolio loans and leases, net	$	90,702	-	-	92,872	92,872
Financial liabilities:
Deposits	$	103,821	-	103,811	-	103,811
Federal funds purchased		132	132	-	-	132
Other short-term borrowings		3,535	-	3,535	-	3,535
Long-term debt		14,388	14,288	545	-	14,833

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References + Details